V-Lab
CBOE EFA ETF Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
128.52%
decreased by 5.76%
1 Week
131.36%
decreased by 2.92%
1 Month
139.18%
increased by 4.90%
Analysis last updated: Friday, September 11, 2026 at 11:30 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 2008 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 253% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
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Inverse leverage: Positive returns increase volatility 253% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.0000 | 5.17*** |
| αARCH | 0.2145 | 4.44*** |
| βGARCH | 0.8097 | 34.51*** |
| γleverage | -0.1538 | -2.29** |
0.947
Persistence13d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.0000 | 5.17*** |
α ARCH Response to squared shocks | 0.2145 | 4.44*** |
β GARCH Volatility persistence | 0.8097 | 34.51*** |
γ leverage Additional response to negative shocks | -0.1538 | -2.29** |
Persistence:
0.947
Half-life:
13 days
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